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Central limit theorems for eigenvalues of deformations of Wigner matrices

M. CapitaineC. Donati-MartinD. Féral — 2012

Annales de l'I.H.P. Probabilités et statistiques

In this paper, we study the fluctuations of the extreme eigenvalues of a spiked finite rank deformation of a Hermitian (resp. symmetric) Wigner matrix when these eigenvalues separate from the bulk. We exhibit quite general situations that will give rise to universality or non-universality of the fluctuations, according to the delocalization or localization of the eigenvectors of the perturbation. Dealing with the particular case of a spike with multiplicity one, we also establish a necessary and...

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